Association and heterogeneity of insured lifetimes in the Lee–Carter framework
Association and heterogeneity of insured lifetimes in the Lee–Carter framework
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DOI：
10.1080/03461230601165029
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发表时间：
2007-03
影响因子：
1.8
通讯作者：
M. Denuit;E. Frostig
中科院分区：
文献类型：
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作者：
M. Denuit;E. Frostig
本文致力于研究李-卡特死亡率预测模型的一些意想不到的后果。生存概率受随机过程控制的事实导致受保寿命之间存在某种正相关性（即关联）。这反过来又会对偿付能力资本产生影响（例如，通过扭曲风险措施来衡量）。如果错误地假设生命周期是独立的，而没有考虑到这种依赖性，就会导致风险资本的系统性低估。还研究了保单福利和受保寿命之间的异质性（借助专业化、舒尔递增和脆弱模型）。
This paper is devoted to the study of some unexpected consequences of the Lee–Carter model for mortality projection. The fact that survival probabilities are governed by a stochastic process induces some positive dependence between insured lifetimes (namely, association). This, in turn, has an impact on solvency capital (as measured by distortion risk measures, for instance). Failing to take this dependence into account, by assuming falsely that the lifetimes are independent, leads to systematic underestimations of the risk capital. The heterogeneity between the policy benefits and the insured lifetimes is also studied (with the help of majorisation, Schur-increasingness and a frailty model).